Building Winning Algorithmic Trading Systems E-Book

Kevin J. Davey

• Herausgeber: John Wiley & Sons
• Kategorie: Fachliteratur
• Serie: Wiley Trading Series
• Sprache: Englisch

Seitenzahl: 403

Veröffentlichungsjahr: 2014

Beschreibung

Develop your own trading system with practical guidance and expert advice

In Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Training, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing allocation to a system, and rules for when to abandon one. The companion website includes Davey's own Monte Carlo simulator and other tools that will enable you to automate and test your own trading ideas.

A purely discretionary approach to trading generally breaks down over the long haul. With market data and statistics easily available, traders are increasingly opting to employ an automated or algorithmic trading system—enough that algorithmic trades now account for the bulk of stock trading volume. Building Algorithmic Trading Systems teaches you how to develop your own systems with an eye toward market fluctuations and the impermanence of even the most effective algorithm.

• Learn the systems that generated triple-digit returns in the World Cup Trading Championship
• Develop an algorithmic approach for any trading idea using off-the-shelf software or popular platforms
• Test your new system using historical and current market data
• Mine market data for statistical tendencies that may form the basis of a new system

Market patterns change, and so do system results. Past performance isn't a guarantee of future success, so the key is to continually develop new systems and adjust established systems in response to evolving statistical tendencies. For individual traders looking for the next leap forward, Building Algorithmic Trading Systems provides expert guidance and practical advice.

Leseprobe

The Wiley Trading series features books by traders who have survived the market's ever changing temperament and have prospered—some by reinventing systems, others by getting back to basics. Whether a novice trader, professional, or somewhere in between, these books will provide the advice and strategies needed to prosper today and well into the future. For more on this series, visit our Web site at www.WileyTrading.com.

Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers' professional and personal knowledge and understanding.

BUILDING WINNINGALGORITHMICTRADING SYSTEMS

A Trader’s Journey from Data Mining to Monte Carlo Simulation to Live Trading

Kevin J. Davey

Cover Design: Wiley Cover Image: © iStockphoto/Emilia_Szymanek

Copyright © 2014 by Kevin J. Davey. All rights reserved.

Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada.

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Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.

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Davey, Kevin, 1966-     Building algorithmic trading systems, + website : a trader's journey from data mining to Monte Carlo simulation to live trading / Kevin Davey.         1 online resource. — (Wiley trading)     Includes index.     ISBN 978-1-118-77891-3 (pdf) — ISBN 978-1-118-77888-3 (epub) — ISBN 978-1-118-77898-2 (pbk.) 1. Futures. 2. Portfolio management. 3. Investment analysis. 4. Monte Carlo method. 5. Electronic trading of securities. I. Title.     HG6024.A3     332.64′2028567 — dc23

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To Amy, Owen, Kathryn, Andrew, and Guardian Angel Anthony—My love, my children, my life